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Macroeconomic activities and stock prices in a South Pacific island economy

This paper investigates whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. The empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contr...

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Main Authors: Puah, Chin Hong, Jayaraman, Tiru K.
Format: Article
Language:English
Published: Faculty of Economics and Management, Universiti Putra Malaysia 2007
Online Access:http://psasir.upm.edu.my/id/eprint/715/1/bab03.pdf
http://psasir.upm.edu.my/id/eprint/715/
http://econ.upm.edu.my/ijem/vol1_no2.htm
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spelling my.upm.eprints.7152015-07-03T08:29:41Z http://psasir.upm.edu.my/id/eprint/715/ Macroeconomic activities and stock prices in a South Pacific island economy Puah, Chin Hong Jayaraman, Tiru K. This paper investigates whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. The empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of the error-correction model further confirms that the stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards longrun equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run. Faculty of Economics and Management, Universiti Putra Malaysia 2007-06 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/715/1/bab03.pdf Puah, Chin Hong and Jayaraman, Tiru K. (2007) Macroeconomic activities and stock prices in a South Pacific island economy. International Journal of Economics and Management, 1 (2). pp. 229-244. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol1_no2.htm
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This paper investigates whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. The empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of the error-correction model further confirms that the stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards longrun equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run.
format Article
author Puah, Chin Hong
Jayaraman, Tiru K.
spellingShingle Puah, Chin Hong
Jayaraman, Tiru K.
Macroeconomic activities and stock prices in a South Pacific island economy
author_facet Puah, Chin Hong
Jayaraman, Tiru K.
author_sort Puah, Chin Hong
title Macroeconomic activities and stock prices in a South Pacific island economy
title_short Macroeconomic activities and stock prices in a South Pacific island economy
title_full Macroeconomic activities and stock prices in a South Pacific island economy
title_fullStr Macroeconomic activities and stock prices in a South Pacific island economy
title_full_unstemmed Macroeconomic activities and stock prices in a South Pacific island economy
title_sort macroeconomic activities and stock prices in a south pacific island economy
publisher Faculty of Economics and Management, Universiti Putra Malaysia
publishDate 2007
url http://psasir.upm.edu.my/id/eprint/715/1/bab03.pdf
http://psasir.upm.edu.my/id/eprint/715/
http://econ.upm.edu.my/ijem/vol1_no2.htm
_version_ 1643821897469657088
score 13.211869

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